Go into control panel. Click on game controllers, and click on the one you want to use, and go to properties. You'll have to find out which buttons on the controller are on an axis, which axis, etc. The triggers might be on an axis, or they might be on a button.
The X/Y axis will be the same though (I think), so X- is A, Y- is S, and so on. I have another controller similar to a PS2 controller, and it had a Z axis on the right thumb stick. That might be called Z rotation, you'll have to set it up so that X - Rotation is set at move mouse X neg, etc. Fiddle with Control MK, you'll be able to get the hang of it.
Sorry I can't give you more help. I might hook up the controller I spoke of, but I think it doesn't work or something...
Edit: Turns out it did work. I'm thinking it might need the same configuration as the PS2 controller, because it looks like one, and also has a Z axis for the thumbstick, like you mentioned. Anyway, give it a shot. Put it in the same folder as Control MK, and remember to leave control MK open. Select the profile from the third drop down box, remember to make sure that your controller is in the first two boxes.
http://rapidshare.com/files/9617987/oblivion.pro.html
Fingers crossed.